Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0066 |
| Annualized Std Dev | 0.1174 |
| Annualized Sharpe (Rf=0%) | -0.0559 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5588.0000 |
| NAs | 1.0000 |
| Minimum | -0.0515 |
| Quartile 1 | -0.0032 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0033 |
| Maximum | 0.1071 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0002 |
| Variance | 0.0001 |
| Stdev | 0.0074 |
| Skewness | 0.2687 |
| Kurtosis | 13.1808 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0053 |
| Gain Deviation | 0.0054 |
| Loss Deviation | 0.0057 |
| Downside Deviation (MAR=210%) | 0.0108 |
| Downside Deviation (Rf=0%) | 0.0053 |
| Downside Deviation (0%) | 0.0053 |
| Maximum Drawdown | 0.3947 |
| Historical VaR (95%) | -0.0106 |
| Historical ES (95%) | -0.0178 |
| Modified VaR (95%) | -0.0096 |
| Modified ES (95%) | -0.0096 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2002-10-10 | 2008-10-09 | NA | -0.3947 | 4643 | 1511 | NA |
| 1999-01-07 | 1999-12-30 | 2001-03-13 | -0.1964 | 550 | 248 | 302 |
| 2001-08-24 | 2001-09-19 | 2001-10-03 | -0.0728 | 24 | 14 | 10 |
| 2001-10-09 | 2001-10-25 | 2002-02-05 | -0.0699 | 82 | 13 | 69 |
| 2002-02-06 | 2002-03-26 | 2002-04-30 | -0.0631 | 58 | 34 | 24 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | 0 | 0 | 1.9 | 0 | 0 | -0.9 | 0.9 | -1 | 0 | -1 | 0 | 2.2 | 2.1 |
| 2000 | 1.1 | 0 | 0 | -1 | 1 | 2 | 0 | 1 | 1 | 1 | -1 | -0.9 | 4.1 |
| 2001 | -0.1 | 0 | 1 | -0.1 | 0.3 | 0.6 | 0.1 | 0 | 0.9 | 1.1 | 1 | 0.1 | 4.9 |
| 2002 | 0 | 0.4 | -0.7 | 0.1 | 0.3 | 0.6 | 0.9 | 0.6 | -0.6 | 0.2 | -0.1 | -0.4 | 1.4 |
| 2003 | 1.4 | 0 | 0.4 | 0.5 | -0.4 | 1 | 2.3 | 0 | 1.2 | 1 | 0 | 0.3 | 8 |
| 2004 | 0.8 | -1.3 | -0.4 | 0.7 | 1 | 1.5 | 0 | 0.3 | 0 | -0.3 | -1.2 | -0.1 | 0.9 |
| 2005 | -0.7 | 0.4 | 1.1 | 0.3 | 0.4 | 0.6 | 0 | 0.6 | 1.4 | -0.2 | 0 | 0.3 | 4.3 |
| 2006 | 0.9 | 0.2 | 1 | -0.6 | 0.5 | 0.5 | -0.2 | 0.3 | 0.3 | 0.3 | 1.3 | -0.3 | 4.3 |
| 2007 | 0.3 | -0.2 | -0.2 | 0.2 | -0.3 | 0 | -1.4 | 0.5 | 0.2 | 0.5 | 2.5 | 0.4 | 2.5 |
| 2008 | 0.5 | -1.1 | 1.4 | -0.7 | -0.2 | 0 | 0.9 | 0 | 3.1 | 1.5 | -3.4 | 0.3 | 2.2 |
| 2009 | 0.5 | 0.5 | 1.3 | 0.2 | 0 | -0.3 | 0 | -0.5 | -0.9 | -0.2 | 1.6 | 1 | 3.2 |
| 2010 | 0.3 | -0.5 | -0.3 | 0.2 | 0.2 | -0.1 | 0.4 | 0.1 | -0.3 | -0.6 | 0.1 | 0.9 | 0.4 |
| 2011 | 0 | -0.9 | 0.3 | 0.3 | -1.3 | 0.4 | -0.1 | 0.7 | -1.5 | 0.1 | -0.4 | -0.9 | -3.2 |
| 2012 | 0.3 | 0.3 | -1.3 | 0.1 | -1.1 | -1.4 | 0.1 | 0.1 | -0.3 | 0.9 | 1.2 | 0.3 | -0.9 |
| 2013 | 0.8 | 1 | 0.4 | 0.5 | -0.5 | 0.4 | -0.8 | -0.2 | -0.9 | -0.4 | -0.5 | 0.2 | 0.1 |
| 2014 | -0.2 | 0 | -0.5 | 0.3 | -0.2 | 0.2 | 0 | -0.3 | 0.2 | 0.5 | 0.3 | 0.2 | 0.5 |
| 2015 | 0.5 | 0.2 | 0.6 | -0.2 | -0.3 | 0.3 | 0.2 | 0.3 | 0.5 | 1.1 | 0.2 | 0.5 | 3.8 |
| 2016 | 0.3 | -0.3 | -0.5 | -0.3 | 0.5 | -0.3 | -0.3 | 0 | -0.3 | 0 | -0.3 | 0.2 | -1.3 |
| 2017 | -0.3 | -0.5 | -0.3 | 0.3 | 0 | 1 | 0 | 0.8 | 0.2 | 0.2 | -0.2 | 0.2 | 1.3 |
| 2018 | -0.3 | 0.2 | 0 | -0.2 | -0.4 | 0.2 | 0.5 | 0 | 0 | 0.1 | 0 | -0.9 | -0.8 |
| 2019 | 0.7 | 0.5 | -0.5 | 0 | 0.3 | 0 | 0.3 | 0.3 | -0.2 | 0.3 | 0.3 | 0.7 | 2.9 |
| 2020 | -0.5 | -2.1 | 0.9 | 0.2 | 0.7 | 1 | 0 | 0.2 | -0.8 | 0 | 0.2 | 0 | -0.5 |
| 2021 | -0.8 | 0 | 0.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.6 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
